Portfolio Optimization

Date range from 2018-05-02 to 2022-05-24

Risk free rate: 0.05

My current portfolio

AMD	APPS	FCN	FRHC	KR	LSCC	MOEX.ME	MRTX	NOK	NVTA	PLZL.ME	PWR	Return	Risk	SharpeRatio	TAL
0.31	0	0	0.42	0.02	0.04	0	0	0	0	0.09	0	0.44	0.32	1.24	0.12

Minimum Variance Portfolio Weights

AMD	APPS	FCN	FRHC	KR	LSCC	MOEX.ME	MRTX	NOK	NVTA	PLZL.ME	PWR	TAL	Return	Risk	SharpeRatio
0.01	0.01	0.17	0.09	0.2	0.01	0.15	0.07	0.07	0	0.15	0.07	0.01	0.26	0.19	1.1

Tangency Portfolio Weights

AMD	APPS	FCN	FRHC	KR	LSCC	MOEX.ME	MRTX	NOK	NVTA	PLZL.ME	PWR	TAL	Return	Risk	SharpeRatio
0.1	0.06	0.19	0.13	0.08	0.13	0.04	0.02	0.01	0.01	0.12	0.09	0.01	0.46	0.23	1.76

Portfolio Sharpie ratio fit

AMD	NVTA	FRHC	TAL	NOK	FCN	APPS	MRTX	PLZL.ME	PWR	MOEX.ME	LSCC	KR	Return	Risk	SharpeRatio
0.15	0.02	0.15	0	0	0.12	0.04	0.03	0.14	0.08	0.04	0.12	0.1	0.46	0.24	1.7

Portfolio Optimized Shaprie ratio fit (ROI method)

AMD	APPS	FCN	FRHC	KR	LSCC	MOEX.ME	MRTX	NOK	NVTA	PLZL.ME	PWR	TAL	Return	Risk	SharpeRatio
0	0	0.28	0.35	0.03	0.15	0	0	0	0	0.18	0	0	0.54	0.23	2.05

Total time: 18 seconds